A Structure for General and Specific Market Risk

Eckhard Platen () and Gerhard Stahl

Computational Statistics, 2003, vol. 18, issue 3, 355-373

Abstract: The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that use a broadly based index as major building block for modeling. The investigation of log-returns of stock prices that are expressed in units of the market index reveals that these are likely to be Student t distributed. A corresponding discrete time benchmark model is used to calculate Value-at-Risk for equity portfolios. Copyright Physica-Verlag 2003

Keywords: Risk measurement; general market risk; specific market risk; Value at Risk; benchmark model; growth optimal portfolio (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:18:y:2003:i:3:p:355-373

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DOI: 10.1007/BF03354603

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